SPY 2004-01-02..2026-08-27 (23y). MOC buy prior close -> MOO sell event open, net 2bps round trip; flat otherwise. 100% capital on event nights. IS<2016<=OOS.
| variant | n | /yr | util | per-event net | active Sharpe | book ann | book Sharpe | maxDD |
|---|---|---|---|---|---|---|---|---|
| FOMC | 197 | 8.7 | 3% | +0.193% | 0.83 | +1.68% | 0.80 | -3.83% |
| STRONG (FOMC+OpEx+qtr) | 549 | 24.2 | 10% | +0.129% | 0.95 | +3.14% | 0.93 | -5.59% |
| UNION (all 5) | 867 | 38.3 | 15% | +0.077% | 0.74 | +2.95% | 0.73 | -7.76% |
Buy-hold SPY: ann +12.13%, Sharpe 0.65, maxDD -55.19%.
IS / OOS by variant
| variant | scope | n | per-event net | book ann | Sharpe | maxDD |
|---|---|---|---|---|---|---|
| FOMC | IS <2016 | 111 | +0.216% | +2.00% | 0.77 | -3.83% |
| FOMC | OOS >=2016 | 86 | +0.163% | +1.32% | 0.99 | -1.32% |
| STRONG (FOMC+OpEx+qtr) | IS <2016 | 297 | +0.180% | +4.46% | 1.12 | -4.61% |
| STRONG (FOMC+OpEx+qtr) | OOS >=2016 | 252 | +0.070% | +1.66% | 0.67 | -3.88% |
| UNION (all 5) | IS <2016 | 463 | +0.109% | +4.21% | 0.91 | -6.29% |
| UNION (all 5) | OOS >=2016 | 404 | +0.040% | +1.52% | 0.48 | -5.83% |
STRONG — per-year net
| year | events | net |
|---|---|---|
| 2004 | 23 | +2.28% |
| 2005 | 23 | +3.48% |
| 2006 | 24 | +1.76% |
| 2007 | 27 | +4.80% |
| 2008 | 28 | +18.94% |
| 2009 | 25 | +8.64% |
| 2010 | 24 | -2.87% |
| 2011 | 26 | +8.07% |
| 2012 | 24 | +4.41% |
| 2013 | 25 | +1.46% |
| 2014 | 24 | +5.60% |
| 2015 | 24 | -1.26% |
| 2016 | 24 | -2.81% |
| 2017 | 24 | +1.66% |
| 2018 | 24 | +1.20% |
| 2019 | 24 | +4.48% |
| 2020 | 25 | +10.77% |
| 2021 | 24 | -1.13% |
| 2022 | 23 | +1.85% |
| 2023 | 22 | +0.94% |
| 2024 | 24 | -0.13% |
| 2025 | 24 | +1.81% |
| 2026 | 14 | -0.63% |
Placebo (random nights, matched count, 5000 draws)
| variant | observed book ann | null mean ann | null 95th | p |
|---|---|---|---|---|
| STRONG (FOMC+OpEx+qtr) | +3.14% | +0.34% | +1.48% | 0.000 |
| UNION (all 5) | +2.95% | +0.53% | +1.89% | 0.002 |
Verdict
FOMC-only OOS: ann +1.32%, Sharpe 0.99, maxDD -1.32%. Composite OOS: ann +1.66%, Sharpe 0.67, maxDD -3.88%.
Best of the best = FOMC only. Adding legs raises in-sample return but LOWERS OOS Sharpe (0.99 -> 0.67 -> 0.48): OpEx and triple-witching decayed post-2016 (see reports/event_overnight_explore.md). Default the sleeve to FOMC; treat the composite as opt-in and unproven. Forward shadow remains binding.
Time 1s.